Correlation Between Mitsui Fudosan and Mitsubishi Estate
Can any of the company-specific risk be diversified away by investing in both Mitsui Fudosan and Mitsubishi Estate at the same time? Although using a correlation coefficient on its own may not help to predict future stock returns, this module helps to understand the diversifiable risk of combining Mitsui Fudosan and Mitsubishi Estate into the same portfolio, which is an essential part of the fundamental portfolio management process.
By analyzing existing cross correlation between Mitsui Fudosan Co and Mitsubishi Estate Co, you can compare the effects of market volatilities on Mitsui Fudosan and Mitsubishi Estate and check how they will diversify away market risk if combined in the same portfolio for a given time horizon. You can also utilize pair trading strategies of matching a long position in Mitsui Fudosan with a short position of Mitsubishi Estate. Check out your portfolio center. Please also check ongoing floating volatility patterns of Mitsui Fudosan and Mitsubishi Estate.
Diversification Opportunities for Mitsui Fudosan and Mitsubishi Estate
0.76 | Correlation Coefficient |
Poor diversification
The 3 months correlation between Mitsui and Mitsubishi is 0.76. Overlapping area represents the amount of risk that can be diversified away by holding Mitsui Fudosan Co and Mitsubishi Estate Co in the same portfolio, assuming nothing else is changed. The correlation between historical prices or returns on Mitsubishi Estate and Mitsui Fudosan is a relative statistical measure of the degree to which these equity instruments tend to move together. The correlation coefficient measures the extent to which returns on Mitsui Fudosan Co are associated (or correlated) with Mitsubishi Estate. Values of the correlation coefficient range from -1 to +1, where. The correlation of zero (0) is possible when the price movement of Mitsubishi Estate has no effect on the direction of Mitsui Fudosan i.e., Mitsui Fudosan and Mitsubishi Estate go up and down completely randomly.
Pair Corralation between Mitsui Fudosan and Mitsubishi Estate
Assuming the 90 days horizon Mitsui Fudosan Co is expected to generate 0.55 times more return on investment than Mitsubishi Estate. However, Mitsui Fudosan Co is 1.83 times less risky than Mitsubishi Estate. It trades about -0.2 of its potential returns per unit of risk. Mitsubishi Estate Co is currently generating about -0.34 per unit of risk. If you would invest 2,598 in Mitsui Fudosan Co on August 27, 2024 and sell it today you would lose (145.00) from holding Mitsui Fudosan Co or give up 5.58% of portfolio value over 90 days.
| Time Period | 3 Months [change] |
| Direction | Moves Together |
| Strength | Significant |
| Accuracy | 100.0% |
| Values | Daily Returns |
Mitsui Fudosan Co vs. Mitsubishi Estate Co
Performance |
| Timeline |
| Mitsui Fudosan |
| Mitsubishi Estate |
Mitsui Fudosan and Mitsubishi Estate Volatility Contrast
Predicted Return Density |
| Returns |
Pair Trading with Mitsui Fudosan and Mitsubishi Estate
The main advantage of trading using opposite Mitsui Fudosan and Mitsubishi Estate positions is that it hedges away some unsystematic risk. Because of two separate transactions, even if Mitsui Fudosan position performs unexpectedly, Mitsubishi Estate can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Mitsubishi Estate will offset losses from the drop in Mitsubishi Estate's long position.| Mitsui Fudosan vs. Sun Hung Kai | Mitsui Fudosan vs. Hang Lung Properties | Mitsui Fudosan vs. Swire Pacific | Mitsui Fudosan vs. Sino Land Co |
| Mitsubishi Estate vs. Sun Hung Kai | Mitsubishi Estate vs. Hang Lung Properties | Mitsubishi Estate vs. Swire Pacific | Mitsubishi Estate vs. Sino Land Co |
Check out your portfolio center.Note that this page's information should be used as a complementary analysis to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Holdings module to check your current holdings and cash postion to detemine if your portfolio needs rebalancing.
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